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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.54,Issue3,P.338-364

语言

英文

关键字

Real estate investment trusts (REITs); Equity REITs; Mortgage REITs; Causality; Substitutability; Real estate portfolio

作者单位

[Hansz, J. Andrew] Old Dominion Univ, Strome Coll Business, Dept Finance, Norfolk, VA USA. [Hansz, J. Andrew] Penn State Univ, Smeal Coll Business, Dept Risk Management, State Coll, PA USA. [Zhang, Ying] Fairfield Univ, Dolan Sch Business, Dept Finance, Fairfield, CT 06430 USA. [Zhou, Tingyu] Concordia Univ, John Molson Sch Business, Dept Finance, Montreal, PQ, Canada. Zhang, Y (reprint author), Fairfield Univ, Dolan Sch Business, Dept Finance, Fairfield, CT 06430 USA. E-Mail: jhansz@odu.edu; yzhang1@fairfield.edu; tingyu.zhou@concorida.ca

摘要

This paper reconciles the controversy regarding the substitutability between equity REITs (EREITs) and mortgage REITs (MREITs) in existing literature. Using CRSP/Ziman data from 1992 to 2011, we show that the driving economic factors on EREIT returns are different from those driving MREIT returns, which rejects the substitutability hypothesis. Additional tests confirm that causality runs unilaterally from EREITs to MREITs, implying the leading (subordinate) role of EREITs (MREITs). Finally, EREITs and MREITs possess disparate risk and return profiles under the full and sub-periods. In sum, strong evidence reveals that EREITs and MREITs are in fact not substitutable.